Author Topic: Simulation of Non-Gaussian Correlated Random Variables  (Read 634 times)

Pankaj Dey

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  • Institute : Indian Institute of Science
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Simulation of Non-Gaussian Correlated Random Variables
« on: June 10, 2020, 11:00:42 AM »
Stochastic simulation has a prominent position in a variety of scientific domains including those of environmental and water resources sciences. This is due to the numerous applications that can benefit from it, such as risk-related studies. In such domains, stochastic models are typically used to generate synthetic weather data with the desired properties, often resembling those of hydrometeorological observations, which are then used to drive deterministic models of the understudy system. However, generating synthetic weather data with the desired properties is not an easy task. This is due to the peculiarities of such processes, i.e., non-Gaussianity, intermittency, dependence, and periodicity, and the limited availability of open-source software for such purposes. This work aims to simplify the synthetic data generation procedure by providing an R-package called anySim, specifically designed for the simulation of non-Gaussian correlated random variables, stochastic processes at single and multiple temporal scales, and random fields. The functionality of the package is demonstrated through seven simulation studies, accompanied by code snippets, which resemble real-world cases of stochastic simulation (i.e., generation of synthetic weather data) of hydrometeorological processes and fields (e.g., rainfall, streamflow, temperature, etc.), across several spatial and temporal scales (ranging from annual down to 10-min simulations).

https://www.mdpi.com/2073-4441/12/6/1645
Pankaj